Modelling complex, planar faces (from imported DXF)
After trying @Mr Zak 's responses (thanks), I feel I should summarize my findings in something more visible than a comment.

Blender should be able to create a polygon from vertices. If it doesn't, the geometry of the vertices is too complex, somehow. To overcome this, fill the shape with less complex planes (tri's, quads, maybe a pentagon) and combine them using "dissolve limited". 

If 'dissolve limited' doesn't work, then check the normals of the faces. They should all point the same way. Flip them if needed and try again.

It also helped to remove the edges, while keeping the vertices.

See also Cutting hole into a face with a line loop?